^TNX vs. TMV
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and Direxion Daily 20-Year Treasury Bear 3X (TMV).
TMV is a passively managed fund by Direxion that tracks the performance of the NYSE 20 Year Plus Treasury Bond Index (-300%). It was launched on Apr 16, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or TMV.
Performance
^TNX vs. TMV - Performance Comparison
Returns By Period
In the year-to-date period, ^TNX achieves a 14.64% return, which is significantly lower than TMV's 28.60% return. Over the past 10 years, ^TNX has outperformed TMV with an annualized return of 6.76%, while TMV has yielded a comparatively lower -7.99% annualized return.
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
TMV
28.60%
6.38%
0.44%
-2.43%
7.83%
-7.99%
Key characteristics
| ^TNX | TMV | |
|---|---|---|
| Sharpe Ratio | 0.01 | -0.08 |
| Sortino Ratio | 0.19 | 0.20 |
| Omega Ratio | 1.02 | 1.02 |
| Calmar Ratio | 0.01 | -0.03 |
| Martin Ratio | 0.03 | -0.18 |
| Ulcer Index | 11.03% | 19.13% |
| Daily Std Dev | 22.96% | 43.58% |
| Max Drawdown | -93.78% | -99.06% |
| Current Drawdown | -44.76% | -96.64% |
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Correlation
The correlation between ^TNX and TMV is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
^TNX vs. TMV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and Direxion Daily 20-Year Treasury Bear 3X (TMV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
^TNX vs. TMV - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, smaller than the maximum TMV drawdown of -99.06%. Use the drawdown chart below to compare losses from any high point for ^TNX and TMV. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. TMV - Volatility Comparison
The current volatility for Treasury Yield 10 Years (^TNX) is 5.75%, while Direxion Daily 20-Year Treasury Bear 3X (TMV) has a volatility of 13.38%. This indicates that ^TNX experiences smaller price fluctuations and is considered to be less risky than TMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.